Setup initial file structure

Modules/ado/plus/c/cfa1_lf.ado

@@ -0,0 +1,69 @@
+*! Log likelihood for cfa1: linear form; v.2.1
+program define cfa1_lf
+
+   args lnf $CFA1theta
+   * $CFA1theta contains all the names needed:
+   * $CFA1theta == l_1 ... l_q v_1 ... v_q m_1 ... m_q phi
+
+   gettoken lnf allthenames : 0
+
+   tempvar lnl
+   qui g double `lnl' = .
+
+   nobreak mata: CFA1_NormalLKHDr( "`allthenames'", "$CFA1vars", "`lnl'")
+
+   qui replace `lnf' = `lnl'
+
+end
+
+*! NormalLKHDr: normal likelihood with normal deviates in variables
+*! v.2.1 Stas Kolenikov skolenik@gmail.com
+cap mata: mata drop CFA1_NormalLKHDr()
+mata:
+void CFA1_NormalLKHDr(
+       string parnames, // the parameter names
+       string varnames, // the variables
+       string loglkhd // where the stuff is to be returned
+       ) {
+
+   // declarations
+   real matrix data, lnl, parms // views of the data
+   real matrix lambda, means, vars, phi // parameters
+   real matrix Sigma, WorkSigma, InvWorkSigma, SS // the covariance matrices and temp matrix
+   real scalar p, n // dimension, no. obs
+
+   // get the data in
+   st_view(data=., ., tokens(varnames) )
+   st_view(lnl=., ., tokens(loglkhd) )
+   st_view(parms=., 1, tokens(parnames) )
+
+   n=rows(data)
+   p=cols(data)
+
+   // get the parameters in
+   lambda= parms[1,1..p]
+   vars  = parms[1,p+1..2*p]
+   means = parms[1,2*p+1..3*p]
+   phi   = parms[1,3*p+1]
+
+   Sigma = lambda'*lambda*phi + diag(vars)
+
+   SS = cholesky(Sigma)
+   InvWorkSigma = solvelower(SS,I(rows(SS)))
+   InvWorkSigma = solveupper(SS',InvWorkSigma)
+   ldetWS = 2*ln(dettriangular(SS))
+
+   for( i=1; i<=n; i++ ) {
+      lnl[i,1] = -.5*(data[i,.]-means)*InvWorkSigma*(data[i,.]-means)' - .5*ldetWS - .5*p*ln(2*pi())
+   }
+
+}
+
+end
+
+
+exit
+
+History:
+v.2.0 March 10, 2006 -- re-written for Stata 9 and Mata
+v.2.1 March 10, 2006 -- everything is moved to Mata